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Table 2 Bootstrapped \(R^{2}\)’s from a regression of the VIX, VSTOXX and TED spread (taken as the last day of every quarter) on the SRIs

From: Early warning of systemic risk in global banking: eigen-pair R number for financial contagion and market price-based methods

Systemic risk measures VIX VSTOXX TED Spread
  (1) (2) (3)
\(\lambda ^{max}_{t} CGBS\) 0.119 0.211 \(**\) 0.104
(0.080) (0.103) (0.108)
\(\lambda ^{max}_{t-1} CGBS\) 0.055 0.113 0.200
(0.055) (0.086) (0.124)
\(\lambda ^{max}_{t-2} CGBS\) 0.035 0.079 0.242 \(**\)
(0.041) (0.072) (0.134)
\(DCC-MES_{t}\) 0.820 \(***\) 0.828\(***\) 0.273\(*\)
(0.060) (0.056) (0.184)
\(DCC-MES_{t-1}\) 0.370\(***\) 0.333\(*\) 0.036
(0.194) (0.193) (0.060)
\(DCC-MES_{t-2}\) 0.147\(*\) 0.147\(*\) 0.033
(0.136) (0.129) (0.049)
\(DCC-\Delta CoVaR_{t}\) 0.784 \(***\) 0.720\(***\) 0.152\(*\)
(0.063) (0.078) (0.091)
\(DCC-\Delta CoVaR_{t-1}\) 0.294\(**\) 0.265\(**\) 0.026
(0.162) (0.147) (0.044)
\(DCC-\Delta CoVaR_{t-2}\) 0.058 0.074 0.025
(0.060) (0.067) (0.030)
\(SRISK_{t}\) 0.510 \(***\) 0.646 \(***\) 0.025
(0.146) (0.100) (0.040)
\(SRISK_{t-1}\) 0.133 0.194 0.087
(0.103) (0.120) (0.064)
\(SRISK_{t-2}\) 0.018 0.031 0.227 \(***\)
(0.028) (0.043) (0.081)
  1. DCC-MES, DCC-\(\Delta \)CoVaR and SRISK are calculated at a 5% tail. Standard errors in parentheses. \(^{*}\)Significance at 10%; \(^{**}\)Significance at 5%; \(^{***}\)Significance at 1%. Own calculations